Parametric estimation for non recurrent diffusion processes

DOI10.1016/J.SPL.2018.05.024zbMath1402.62188OpenAlexW2808697419WikidataQ129725977 ScholiaQ129725977MaRDI QIDQ722665

Ilham Abi-ayad, Tahar Mourid

Publication date: 27 July 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.05.024

zbMATH Keywords

diffusion processesstrong consistencyasymptotic lawfitting trajectory estimatorsnon-recurrence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (1)

Parameter estimation for certain nonstationary processes driven by α-stable motions

Uses Software

• CRAN
• Sim.DiffProc

Cites Work

• Estimation of parameters for discretely observed diffusion processes with a variety of rates for information
• Parametric inference for discretely observed non-ergodic diffusions
• On a problem of statistical inference in null recurrent diffusions
• Asymptotic behaviour of trajectory fitting estimators for certain non-ergodic SDE
• Martingale estimation functions for discretely observed diffusion processes
• On the asymptotic behaviour of solutions of stochastic differential equations
• Estimation of an Ergodic Diffusion from Discrete Observations
• Parameter estimation for some non-recurrent solutions of SDE
• Probability: A Graduate Course
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